Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0241
Annualized Std Dev 0.2658
Annualized Sharpe (Rf=0%) -0.0906

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1559
Quartile 1 -0.0054
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0065
Maximum 0.1994
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0005
Variance 0.0003
Stdev 0.0167
Skewness 0.1776
Kurtosis 22.4775

Downside Risk

Close
Semi Deviation 0.0122
Gain Deviation 0.0129
Loss Deviation 0.0146
Downside Deviation (MAR=210%) 0.0165
Downside Deviation (Rf=0%) 0.0122
Downside Deviation (0%) 0.0122
Maximum Drawdown 0.8297
Historical VaR (95%) -0.0232
Historical ES (95%) -0.0423
Modified VaR (95%) -0.0190
Modified ES (95%) -0.0190
From Trough To Depth Length To Trough Recovery
2000-01-25 2009-03-09 NA -0.8297 5323 2293 NA
1999-06-16 1999-09-23 2000-01-19 -0.1188 151 70 81
1999-03-17 1999-03-23 1999-04-13 -0.0464 19 5 14
1999-01-08 1999-01-14 1999-01-19 -0.0265 7 5 2
1999-01-20 1999-02-12 1999-03-08 -0.0262 33 18 15

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0 -0.5 -0.5 0 -0.5 -1.5 0 1.1 0 -1.1 0 0 -3
2000 -1 0.5 1.6 1.1 1.6 1 0.5 0 -0.5 1.7 0.5 -1.6 5.5
2001 0.3 1.3 0.7 1 0.5 -0.3 1.4 -0.4 -0.9 -0.1 1.8 0 5.2
2002 -0.2 0.5 -0.3 0.1 -0.1 -1.6 -2.7 -1.1 3.8 2.9 0.2 0.6 2.1
2003 0.3 -0.3 0.7 0 0.1 0 -1.9 0.5 1.2 0.4 0.6 0.9 2.6
2004 -0.2 0.8 0.8 -1.7 -0.2 -0.1 0.3 0 0.4 -0.2 0.3 -0.1 -0.1
2005 0 0.1 -0.8 0.5 0.3 0.3 0.3 0.2 -1.9 0.2 0.5 0.2 0.1
2006 0.1 0.5 0.2 -0.2 0.5 -1 0.1 0.7 0.1 0.1 0.3 0.4 1.9
2007 0.8 -0.3 0.2 0.2 0.7 -3.8 -0.4 0.5 0.6 -1.5 1.3 -0.4 -2.2
2008 1.7 -2 2.6 1.7 0.6 -1.1 -0.2 0.1 -1.5 3.9 -9.4 4.8 0.4
2009 -0.8 -3.3 0.7 0.6 5.6 2 -0.2 -1 -0.8 -2 1.6 -0.2 1.7
2010 1.4 0.4 1 -0.9 -1.1 -1.8 0.6 4 0.8 0.2 1.7 0 6.4
2011 1.2 0 0.5 0 -0.8 1.5 1.4 -0.9 -3.1 -3.3 0.6 -0.6 -3.6
2012 2.1 1.1 -0.5 0.9 -2.4 1.3 0 0.9 1.2 1.8 -0.7 2 7.8
2013 1 1 0 0.1 -1.1 2 1.2 -0.3 1 0.1 0 0.1 5.2
2014 -0.4 0.5 -0.1 0.4 0.1 0.8 -0.1 0.3 -1.4 2.8 -1.2 -2 -0.4
2015 -1.6 -0.3 0 0.6 0.2 0.6 0.2 -2.7 0.4 0 0.7 -0.4 -2.3
2016 0.8 2.8 -0.2 -0.2 0.2 1.1 0.5 0.3 1.6 -0.6 -0.7 0 5.8
2017 0.4 1.7 -0.2 0 1.1 0.7 0 0.3 0.2 0.2 0.5 -0.2 4.7
2018 -0.2 -1.4 1 -0.7 0 0.5 0.2 -0.3 0.5 1.5 0.3 -0.2 1.2
2019 1.4 0.7 0.3 0 -0.7 0.5 -1.1 0.7 -1 0.7 0.7 0.5 2.5
2020 -0.7 -3.2 -8.7 -4.4 2.9 -0.6 0.4 -0.2 -0.4 -2.9 1.6 -0.6 -16
2021 1.1 2 -0.4 NA NA NA NA NA NA NA NA NA 2.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  11.5 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  11.7 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  11.7 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  11.8 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  11.8 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  11.7 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart